The production of three-phase composites is a relevant and effective approach to obtain materials with the required mechanical and dielectric properties. In this work, dust, which is a waste product of steelmaking and is formed during the gas cleaning of electric arc furnaces at the production base of Severstal, was used as a functional filler for the low-density polyethylene polymer matrix. The fractional, elemental, qualitative, and quantitative phase composition of the native dust was studied using laser diffraction, energy-dispersive X-ray phase analysis, and X-ray fluorescence spectrometry. An increase in the permittivity of the dust was achieved due to its reduction in a hydrogen atmosphere and, as a consequence, a change in the elemental and phase composition causing an increase in the concentration of metallic iron. Composite films were obtained using a blending roll mill at temperatures of 130 and 140 °C. The concentration of the main filler was 18.75, 37.5, and 75 wt.%. Additionally, a conductive additive in the form of MWCNTs was introduced into the composition of the composites in an amount of 0.25 wt.%. The uniformity of the filler distribution in the polymer matrix was assessed from electron micrographs. The dielectric properties of fillers and composite films based on polyethylene filled with electric arc furnace dust and MWCNTs were studied using impedance spectroscopy in the frequency range of 10–106 Hz. The use of reduced dust at a concentration of 25.8 vol.% combined with 0.25 wt.% MWCNTs in the composition of the composite film provided an increase in ε′ to 13.5 at tan δ = 0.038. Thus, three-phase polymer matrix composites based on LDPE using dust as a filler with a conductive microadditive of MWCNTs have a synergistic effect, which manifests itself in an increase in the permittivity and a decrease in dielectric losses.